TIME SERIES RESIDUALS WITH APPLICATION TO PROBABILITY DENSITY ESTIMATION

DOI10.1111/J.1467-9892.1987.TB00445.XMaRDI QIDQ3028134zbMATH OpenOpenAlexFDO

Authors Peter M. Robinson

Publication date 1987

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1987.tb00445.x

zbMATH Keywords

deconvolutiondensity estimationinvertible linear processkernel estimatorlinear time series modelsnon-Gaussian time seriesstrict white noisetime series residualsuniform convergence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Alternative models for stationary stochastic processes
• Estimation of the Distribution of Noise in an Autoregression Scheme
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• On adaptive estimation in stationary ARMA processes
• On an explicit formula in linear least squares prediction
• On Estimation of a Probability Density Function and Mode
• The asymptotic theory of linear time-series models
• Weak and strong uniform consistency of the kernel estimate of a density and its derivatives

Cited in

(23)

• Density estimation for time series by histograms
• Kernel density estimation for linear processes: Asymptotic normality and optimal bandwidth derivation
• Frequency polygons for weakly dependent processes
• Kernel density estimation for spatial processes: The \(L_{1}\) theory
• Spatial kernel regression estimation: weak consistency
• On histograms for linear processes
• Kernel spatial density estimation in infinite dimension space
• On partial-sum processes of ARMAX residuals
• Local linear spatial regression
• Modified Whittle estimation of multilateral models on a lattice
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• scientific article; zbMATH DE number 3990630 (Why is no real title available?)
• scientific article; zbMATH DE number 1208109 (Why is no real title available?)
• Asymptotic normality of Powell's kernel estimator
• Kernel density estimation for random fields: TheL₁Theory
• Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
• Kernel density estimation for linear processes
• Fixed-design regression for linear time series
• Frequency polygons for continuous random fields
• Some developments in semiparametric statistics
• Nonparametric estimation of conditional expectation
• Uniformly root-\(n\) consistent density estimators for weakly dependent invertible linear proc\-esses
• Rank-based estimation for all-pass time series models

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